Nama: NIM : Manajemen Risiko

MARKET RISK – CAPM (CAPITAL ASSET PRICING MODEL) VERSION : PT Indocement Tunggal Prakarsa Tbk (INTP) 2014-
2016. Data dalam kurung berikut ini adalah dalam persen . Stock return rI tahun 2014 (27,07), 2015 (-10,7), 2016 (-31,01); . BI-rate rF tahun
2014 (7,75), 2015 (7,50), 2016 (4,75); Return market rM tahun 2014 (22,29), 2015 (-12,12), 2016 (15,32). Hitung dan interpretasikan expected
excess return, market risk.
No End of year Stock Return BI-rate RI=rI-rF (RI-RI) [RI-RI]2 rM RM = rM -rF RM -RM (RM -RM)2 (RI-RI)(RM -RM)
( rI ) (rF)

(0) (1) (2) (3) (4)=(2)-(3) (5) (6) (7) (8) (9) (10) (11)=(5)x(9)

1 2014
2 2015
3 2016
4 Total (  ) # # #
5 Expected or average of stock # # # # # # #
excess return
E(RI) = RI =  RI / n
6 Variance of stock excess return, 2 = [RI-RI]2 / (n-1) # # # # #
7 Expected or average of excess market return , E(RM) = RM =  RM / n # # #
8 Variance of excess market return , 2M = [RM-RM]2 / (n-1) #
9 Covariance of stock return and market return  {(RI-RI)(RM– RM)} /n-1= CovIM =
10 Market Risk :  = Cov IM/2M =
11 Kategori Market risk :  < 1 (Defensive stock);  = 1 (Neutral stock); Saham INTP periode
 > 1 (Aggressive stock);  < 0 (Negative correlation with market stock); 2014-2016 disebut
12 Interpretasi 

13 Interpretasi E(RI)

14 Interpretasi E(RM)